Quarterly data file

1996 - 2

(CLO1 - OPE4) strategy with selection of two stocks with maximum price drop during the day #1
STOCK1 is the stock with maximum CLO1 - CLO0 price drop
DAY is the day of stock purchase (at CLO1 price)
RETURN is the stock price change (OPE4 - CLO1) in %
Look at statistics at the end of file

DAY TICKER RETURN (%)
960402 VOCLF 5.555
960402 BEAM -1.667
960403 IFMX 13.97
960403 SCTC 5.699
960404 SEPR -7.907
960404 EX 0.558
960408 PRXM 8.461
960408 SEPR -3.81
960409 SEPR 3.03
960409 ORCL 6.325
960410 VSNR 19.047
960410 RIDE 3.529
960411 CLST -2.942
960411 CYBE 1.086
960412 BEAM -3.206
960412 VJET -1.53
960417 LLY 8.849
960417 MNPI -4.664
960418 QCOM 13.469
960418 SERA 11.999
960419 PKE -1.112
960419 CYBE 3.896
960422 PKE 9.09
960422 CYBE 7.792
960423 VJET 4.402
960423 PAGE 7.428
960424 NWAC 1.28
960424 GLD 4.273
960425 RLM 1.16
960425 NWAC 4.298
960429 CNXS 6.06
960429 DSCP 3.496
960501 RXR -1.622
960501 HS 3.345
960502 SDRC 0.862
960502 BLY 3.125
960503 HDCO -4.485
960503 WWY -0.752
960506 MME -1.949
960506 AZA 3.72
960507 ASM 11.888
960507 SDRC -2.284
960508 CXIPY 2.857
960508 VJET -27.858
960509 MCK 1.416
960509 GND 3.305
960510 MNPI 11.377
960510 SUIT 2.88
960513 UNH 1.382
960513 BC 0
960514 STAT -10.639
960514 HS 7.65
960515 OREX -11.927
960515 STAT 0
960516 VJET -14.419
960516 BRG 1.388
960517 CGNX -8.054
960517 CYBE 15.517
960520 VJET 15.555
960520 ESOL 0.44
960521 CGNX 10.294
960521 LIPO 2.631
960522 FTSP 6.666
960522 CGNX 13.207
960524 CCJ.PP 8.743
960524 ATML -0.583
960529 TCPI 14.634
960529 VCAI 8.152
960603 INTV 0.588
960603 DGN 8.999
960604 BORL -9.279
960604 MNPI -6.57
960605 MNPI 11.904
960605 GANDF -12.245
960606 MWHS 3.825
960606 GANDF 1.234
960607 APM -3.509
960607 ARRO 8.571
960610 KMET -1.38
960610 AVX -3.948
960611 GANDF -5.334
960611 CDTX 2.272
960612 EDMK 0
960612 MWHS -3.371
960614 MNPI -6.482
960614 CUBE -6.383
960617 CAMP -1.631
960617 AFFI -8.511
960619 PNET -5.264
960619 LRCX -4.226
960621 LCOS -1.177
960621 CMSB -0.297
960626 DNA -2.548
960626 VTSS 33.333
960627 DANKY 8.035
960627 MCLL 12.499
960628 BSST 0
960628 MCTH 2.083
960701 MNTX 1.754
960701 UTR -2.581



Number of trading days = 61
Average 3-day return (%) = 1.96 +/- 5.76
Risk/Return Ratio for 3-day return (for two stocks) = 2.93
Probability of positive pure daily returns,  63.9 %

Return(Risk/Return) for the first stock selected (%): 2.08 ( 3.6 )
Return(Risk/Return) for the second stock selected (%): 1.84 ( 4.34 )

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